Bayesian analysis of stochastic volatility models with flexible tails

DOI10.1080/07474939808800408zbMath0908.62107OpenAlexW2109197685MaRDI QIDQ3842859

Mark F. J. Steel

Publication date: 20 August 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939808800408

zbMATH Keywords

Markov chain Monte Carlofinancial time seriesleptokurtic distributionsskewed exponential power distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items (2)

Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles ⋮ Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility

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• Bayesian Vector Autoregressions with Stochastic Volatility
• Continuous Record Asymptotics for Rolling Sample Variance Estimators

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